/KASE, September 19, 14/ – The Expert Committee of Kazakhstan Stock Exchange
(KASE) on September 19, 2014 according to the schedule revised parameters of
non-indexed government securities (GS) subgroups used by for their market
valuation.
We remind you that according to the Methodology of Securities Valuation, non-
indexed GS are valued at yield-to-maturity whose values are defined within the
limits of sub-groups pointed out by the Expert Committee depending upon the
time left to maturity of each security. That stipulates that one subgroup shall
include securities whose dependence of the yield-to-maturity on the number of
days left to maturity may be most precisely described by one polynomial trend
equation. The polynomial trend equation for each sub-group is determined by
using the method of approximation of parameters of executed deals (dates
before repayment and yield) in GS of that subgroup.
Based on the expertise of analytical data provided by the Exchange, the Expert
Committee decided on September 19, 2014, for purposes of valuation of
non-indexed GS in the fourth quarter of 2014 that those GS be divided into two
sub-groups with the following values of their limits:
I subgroup – from 0 to 2,500 days left to their maturity,
II subgroup – from 1,500 and more days left to their maturity.
For building the yield curves for the mentioned subgroups a polynomial trend
equation of the second degree will be used.
The mention division will lead to a certain re-assessment of yield of
non-indexed GS maturing in over 7,000 days upwards, which matches the current
market conditions, as well as will allow an increased representativeness of the
selection transactions for valuation of securities of the first sub-group.
For the first quarter of 2015 the number of subgroups, their limits and kinds of
polynomial trend equations applied should be determined not later than five
business days before the quarter beginning.
The Methodology is available on KASE website, at
http://www.kase.kz/files/normative_base/met_ocen_zb_eng.pdf
All persons interested in the Methodology and procedure of calculation of market
prices can turn to the Department for Information and Analysis of KASE on
tel. (727) 237 53 18, e-mail: info@kase.kz
[2014-09-19]